Any Better Way to Execute High Volume Orders??

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Spaceant
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Any Better Way to Execute High Volume Orders??

Postby Spaceant » 31 Oct 2009

Hi,

It is obviously beyond my present level of trading interest due to the limitation of money.

But, I would like to know if there is any research / article / code in handling high volume orders, say if you are a professional trader autotrading 1000 contracts of ES / YM for each signal. It seems to me that you won't execute each single signal by an market order, right!!?? ...... my first feeling is to divide the single signal into pieces, like 100 small market orders @ 10 contracts with a 5 (or 10) seconds intervals.

I just wonder if there is any scienific studies or codes handling like what I am thinging .....

Sa

Spaceant
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Postby Spaceant » 31 Oct 2009

Just add a note:

Perhaps, the big players won't execute big orders as the way as a small player executing their small orders.

What I am interested is that, if a trader who is doing system automated trading; when voume grows up, would there be any smart way to handle the high volume orders? ........ one way is splitting the orders into pieces and execute them in few seconds intervals.

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TJ
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Postby TJ » 31 Oct 2009

spreading over time is one way,

you can also spread the order over one (or more) tick above and below your triggered price.

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RobotMan
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Postby RobotMan » 02 Nov 2009

You would use one of the fastest and best trading interfaces I have ever seen for a retail trader: MD Trader
(see: http://www.tradingtechnologies.com/xtrader.aspx)

Not only is the interface well laid out and totally configurable, it has the ability to show where your order is in the queue in real time and can automatically submit "iceberg" orders. It is also about $675 per month. but hey, you're leasing a seat, doing thousands of round turns, and have commissions of less than a dollar... :D

Spaceant
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Postby Spaceant » 03 Nov 2009

You would use one of the fastest and best trading interfaces I have ever seen for a retail trader: MD Trader
(see: http://www.tradingtechnologies.com/xtrader.aspx)

Not only is the interface well laid out and totally configurable, it has the ability to show where your order is in the queue in real time and can automatically submit "iceberg" orders. It is also about $675 per month. but hey, you're leasing a seat, doing thousands of round turns, and have commissions of less than a dollar... :D


RobotMan,

Thanks, the site is informative...

traderstuff
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Postby traderstuff » 05 Nov 2009

Bob,Ant,All,

I had an acquaintance whom I lost contact with several years ago, who owned his own seat at the Merc since sometime back in the 60's. Not sure the exact turn of events as far as his leasing out some of his seat rights, but he did maintain his trading rights so that when he left the floor and moved 'upstairs' , for him that actually meant semi retirement and trading from one of several nice homes he maintains in the States.

Anyway, to keep his mind active and also enhance his bank account, he traded strictly 100 lots, all in, all out, following very simple price action set ups that he was very comfortable with.

He was taking profits at only 3 tics or $37.50 a contract, and occasionally if his entry traded immediately outside his parameters, he would double down, ie: 200 contracts.

He claimed a 97% success rate, and this somehow got misunderstood. It was Not an exact 97% WIN rate, but rather the rate of non losses, which included his so called 'breakeven' trades.

There are a great many ways to take money out of the 'markets, including the very high volume trading of 1000 contracts or more per signal, however I would venture to say that before one reaches that level of expertise in that type of trading, it would not just be monetary resources that needed to be expanded upon.

If a trader cannot methodically take profits on an extended time and number of trade basis trading only one or several contracts at a time, it is my opinion that increasing size is simply a much faster route to getting blown out of the water.

Ant, I know that your original post asked for specifics, but I decided to throw in a bit of my own opinion, gained from personal experience.

Somehow I read into your questions, similar type thoughts I had many years ago Before all these electronic markets were around.
I had 8/10 years of part time experience trading the old full size Spoo and US Bond contracts, one to three contracts at a time.

I got an urge to start seeing 6 figure profit days, had direct phone contact with pit brokers, moved a good sum of money into my account and bumped my volume up to 25 full S&P's, [equivalent to 250 ES mini's] and 100 Bonds at a pop.

I quickly found out I was Not prepared mentally at the time to handle these size orders, and actually did see some of those 6 figure days, but they were NOT in the profit column!

Thankfully I was able to take a complete break from trading, gain back my sanity ( which many traders never do after severe financial losses) and gain the knowledge and expertise I needed to be consistently profitable on a smaller scale.

Due to injuries I sustained on the job in my regular occupation, during the 1980's I was able to move to so called 'full time' trading, and through hard earned DISCIPLINE and increased knowledge, was able to recoup all my losses and started making a comfortable income from my trading activities and other longer term holdings.

Nowadays, to keep myself active, if I am daytrading, I will usually keep my volume under a handful in any one market at any one time.

I hope this is taken in the helpful manner it was intended, and certainly was not meant to be critical of anyone, or recommend one style of trading is better than another.

Best ~,





You would use one of the fastest and best trading interfaces I have ever seen for a retail trader: MD Trader
(see: http://www.tradingtechnologies.com/xtrader.aspx)

Not only is the interface well laid out and totally configurable, it has the ability to show where your order is in the queue in real time and can automatically submit "iceberg" orders. It is also about $675 per month. but hey, you're leasing a seat, doing thousands of round turns, and have commissions of less than a dollar... :D

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RobotMan
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Postby RobotMan » 09 Nov 2009

Amen to that.

Thanks!


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